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COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

Investor attention and FX market volatility

Goddard, John A.; Kita, Arben; Wang, Qingwei - In: Journal of international financial markets, … 38 (2015), pp. 79-96

Persistent link: https://www.econbiz.de/10011475168

Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

Dynamic linkages between implied volatility indices of developed and emerging financial markets : an econometric approach

Gupta, Divya; Kamilla, Usha - In: Global business review 16 (2015) 5, pp. 46-57

Persistent link: https://www.econbiz.de/10011410378

Non-Gaussian GARCH option pricing models and their diffusion limits

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830

Persistent link: https://www.econbiz.de/10011386309

Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

Analysis of market volatility via a dynamically purified option price process

Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 9 (2014) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010391659

Pricing American options when the underlying asset follows GARCH processes

Stentoft, Lars - In: Journal of empirical finance 12 (2005) 4, pp. 576-611

Persistent link: https://www.econbiz.de/10003144806

Pricing of options under different volatility models

Herzberg, Markus (contributor); … - 2004

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …

Persistent link: https://www.econbiz.de/10002569929

Continuous time volatility modelling : COGARCH versus Ornstein-Uhlenbeck models

Klüppelberg, Claudia (contributor); … - 2005

We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of … volatility model ; tail behaviour …

Persistent link: https://www.econbiz.de/10002753427

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